I’ll link back to here: CoDatMo Liverpool & UNINOVE models (slow ODE implementation and Trapezoidal Solver) - #73 by alphillips
I think anything related to importance sampling would benefit from this functionality. Of course, we only need the log_prob part of the log_prob_grad, but even this currently is kind of awkward to recompute for a whole fit.
Edit:
Link back to another potential victim: Zero chain movement/mixing in forced ODE model - #21 by Robert_Dodier